中国国债期货的市场有效性研究

Research on the Effectiveness of Chinese Treasury Bond Futures Market

本文针对我国建立不久的国债期货市场,运用无套利均衡分析方法建立期货和现货市场的均衡模型,并使用市场交易数据来分析其市场有效性。实证结果显示,国债期货价格大部分时间处于偏离无套利区间的状态,偏离值大多处于区间[-1,1]之间,回到均衡速度值多数时大于1,在交易期间存在着较多的套利机会。引入国债ETF(交易型开放式指数基金)作为国债现货并使用高频数据的实证结果验证了上述结论。综合来说,期货市场与现货市场并不均衡,期货市场的效率还有待提升。

In this paper, we employeed the no-arbitrage equilibrium analysis to establish the equilibrium model of futures and spot market of China Treasury bond, and used market trade data to analysis the effectiveness of market. Empirical tests found that most of the time, prices of bond futures deviated from the no-arbitrage range, the deviation from equilibrium were in the interval [- 1,1 ] and the speed of return to equilibrium were more than one day. Empirical results by using Treasury ETF and high- frequency data confirm the above conclusions. To conclude, there are many arbitrage opportunities during the transaction period. In summary, the relationship between futures market and spot market is not balanced and the effectiveness of futures market has yet to be improved.